Model Risk Analyst Lead - Hybrid

Is it a Bank? A cooperative? A leader in affordable housing? We are all those things and more!

Our core mission at FHLBank Indianapolis is to provide reliable and readily available liquidity to our member institutions to support housing finance and community development. Simply put, we’re a bank for banks, credit unions, community development financial institutions and insurers across Indiana and Michigan. We also assist in meeting the economic and housing needs of communities and families through grants and subsidized advances that support affordable housing and economic development.

But enough about us, let’s talk about you.

Are you looking for a company that views their employees as their greatest asset?

A company that’s dedicated to making a difference in the community? So much so they pay their employees to volunteer?

Do you want to join a talented workforce that prioritizes diversity, equity and inclusion, and promotes learning and development, unique skills/ideas, and employee engagement?

If you’ve said yes to these questions, then we might be a match!

Here is what we offer:

• Flexible hybrid workforce model: Onsite three days a week and two days remote. We also offer five fully remote weeks per year!

• Fantastic, competitive pay and total rewards

• Industry-high 401(k) match: up to 6% PLUS…an additional 4% contribution!

• Tuition reimbursement assistance: To help you continue to develop personally and professionally.

• Student loan repayment assistance: That’s right, we will help you repay outstanding student loans!

• Awesome Benefits Package: Medical, dental, vision benefits and even pet (you read that right) insurance!

• Generous time off: Vacation, paid federal holidays, birthday month floating holiday, volunteer day and summer hours program

• “Dress for your day” dress code: You choose the appropriate work attire based on what your day looks like.

Statistics show that it is less likely for some candidates to submit their application if they don't meet all the criteria within the job description. If this is you, we encourage you to give yourself a chance and submit your application anyway, as you may be the perfect match for this role!  ​

Purpose:

The Model Risk Analyst Lead will play a key role in assessing the Bank’s model risk through model validations, risk reviews, and ongoing analysis. As a member of Enterprise Risk Management (ERM), the Lead will work under the Director of Model Risk Management and Validation to validate financial models throughout the Bank in order to assess model reasonableness, weaknesses, and risks. The Lead will interact with model owners and model users across the Bank to understand current model performance, development activities, and emerging risks. The Lead will also participate in or lead the effort in Model Risk Management Group (MRMG) to develop benchmarking models and data analytics and modeling tools.

The following statements are intended to describe the general nature and level of work being performed by persons assigned to the job. They are not intended to be an exhaustive list of all responsibilities or abilities required of persons so classified. The Bank reserves the right to alter or amend this description at any time.

Specific Responsibilities:

• Lead model validations for various financial models, including credit risk, market risk, mortgage prepayment, and asset-liability management models, which include the assessment of model data, assumptions, theory, and mathematics/codes, performing quantitative analyses and tests including backtesting, benchmarking, stress testing, scenario analysis, and sensitivity analysis, and the assessment of the effectiveness and sufficiency of model controls and documentation.

• Generate high-quality validation reports detailing the validation approaches, analyses conducted, and conclusions of the validation and present findings and recommendations to model owners, model users, and other relevant stakeholders.

• Lead or participate in developing benchmarking models (including machine learning models) and data analytics/model validation tools for validation analysis, model performance monitoring, and model risk governance purposes.

• Provide expert insight and effective challenge to various modeling and model validation issues. Assist the Director of Model Risk Management and Validation in identifying risk trends and emerging risks.

• Guide junior model risk analysts and interns on validation analysis and report writing.

• Manage third-party model validation projects throughout the entire validation process including drafting the scope of work and the request for proposal, proposal review, tracking validation progress, facilitating the interactions between the validator and the model owner, and reviewing validation findings and reports.

• Participate in audit and regulatory exams and assist in the remediation of audit and regulatory exam findings.

• Understand and interpret model-related regulations and assess regulatory compliance for relevant models.

• Participate in annual and ad-hoc model reviews and quarterly model performance reviews.

• Assist in other model risk management activities such as maintaining the Bank’s model inventory, validation planning, model validation issue management, and generating periodic model risk-related reports to relevant committees and stakeholders.

• Conduct research and analysis to maintain knowledge of modeling best practices, model validation techniques, and current financial market information.

Competencies:

Business

• Job Knowledge

General

• Decision Making/Judgment

• Dependability

• Productivity

People

• Communication

Position Requirements:

• Advanced degree with a concentration in Computational/Quantitative/Mathematical Finance, Statistics, Mathematics, Computer Science, Economics, or some other quantitative discipline.

• At least five years’ experience working in a related field, such as fixed-income modeling, derivative valuation, mortgage valuation, asset-liability management, predictive modeling, optimization, and data science.

• Expert knowledge and skills in at least one of the following areas is required:

• Fixed-income analytics: discounted cash flow models, interest rate modeling, bond and interest rate derivatives valuation, stochastic processes, Monte Carlo simulation, and asset-liability management. Experience with valuation systems such as PolyPaths, QRM, Calypso, Yieldbook, FINCAD, and Numerix is highly desirable;

• Mortgage valuation: MBS/CMO valuation, whole loan mortgage valuation, prepayment modeling, mortgage default modeling. Experience with mortgage models such as AD&Co, Black Knight, and Intex is highly desirable;

• Credit risk models: PD/LGD models, credit rating models, collateral haircut models, stress testing models, and logistic regression.

• High proficiency with at least one of the programming languages such as Python, R, Julia, or MATLAB is required.

• Excellent writing and communication skills required. Must be able to write 100+ page model validation reports efficiently, clearly/concisely explain highly technical information to non-technical audiences, maintain relationships with model owners and users, and interact with senior management.

• Hands-on experience with machine learning/artificial intelligence is highly desirable.

• Experience with physical climate risk models is desirable.

• Must be able to think critically and independently, highly self-motivated, and able to multitask and manage competing priorities.

• Understanding of current regulatory guidance on model risk management, including FHFA’s ABs 2013-07 and 2022-03, OCC Bulletin 2011-12, or FRB SR 11-17, desirable.

• Ability to model and uphold the Bank’s Guiding Principles.

• Ability to work full time.

FHLBank Indianapolis is an Equal Opportunity Employer.